ESTIMATION OF A TIME VARYING NATURAL INTEREST RATE FOR PERU

Alberto Humala and Gabriel Rodríguez

No 2011-316, Documentos de Trabajo / Working Papers from Departamento de Economía - Pontificia Universidad Católica del Perú

Abstract: Following the approach of MÈsonnier and Renne (2007), we estimate a Natural Rate of Interest (NRI) using quarterly Peruvian data for the period 1996:3-2008:3. The model has six equations and it is estimated using the Kalman Ölter with output gap and NRI as unobservable variables. Estimation results indicate a more stable NRI in period 2001:3-2008:3 than in period 1996:3-2001:2 and also more stable than the observed real interest rate. Real interest rate gap (di§erence between real and natural rates), which measures monetary policy stance, indicates a restrictive policy for 1996-2001. Results also show a negative interest rate gap onwards, suggesting a less restrictive policy.

Keywords: Interest; Rate; /; Natural; Interest; Rate; /; Kalman; Filter; /; Output; Gap; /; Unobserved; Components. (search for similar items in EconPapers)
JEL-codes: C32 E32 E43 E52 (search for similar items in EconPapers)
Pages: pages
Date: 2011
New Economics Papers: this item is included in nep-cba and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published

Downloads: (external link)
http://files.pucp.edu.pe/departamento/economia/DDD316.pdf (application/pdf)

Related works:
Working Paper: Estimation of a Time Varying Natural Interest Rate for Peru (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pcp:pucwps:wp00316

Access Statistics for this paper

More papers in Documentos de Trabajo / Working Papers from Departamento de Economía - Pontificia Universidad Católica del Perú Av. Universitaria 1801, San Miguel, Lima, Perú. Contact information at EDIRC.
Bibliographic data for series maintained by ().